DOES THE FED RESPOND TO OIL PRICE SHOCKS?

• 成果类型: Article
• 署名作者: Kilian, Lutz; Lewis, Logan T.
• 署名单位: University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; Center for Economic & Policy Research (CEPR)
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2011.02437.x
• 发表日期: 2011
• 页码: 1047-1072
• 关键词: aggregate macroeconomic behavior; systematic monetary-policy

摘要

A common view in the literature is that systematic monetary policy responses to the inflation caused by oil price shocks have been an important source of aggregate fluctuations in the US economy. Earlier empirical evidence in support of such a link was based on inappropriate econometric models. We show that there is no credible evidence that monetary policy responses to oil price shocks caused large aggregate fluctuations in the 1970s and 1980s or more recently. Our analysis suggests that the traditional monetary policy reaction framework should be replaced by models that take account of the endogeneity of the real price of oil and that allow policy responses to depend on the underlying causes of oil price shocks.